I watched the show up until Stephen Universe Future and here is my take:
Technically, they’re not female or male, and technically they often appear to swing both ways, although any sexual relations are purely speculation to begin with, including the conception of Stephen as it is entirely plausible Stephen’s mom created him asexually.
They are hard light projections. Their physical bodies are their gemstones. They are genderless, female presenting, sentient space rocks who reproduce via the various bodily secretions of their supreme diamond leaders.
Where White Diamond comes from is a true mystery, but I like to think of her like the Monolith. The creation of a long gone organic species that wanted to seed the universe with life. Only white was a bit more zealous for inorganic life forms than simple organic life.
As for Steven, it can be assumed, since the gems can shape shift their hard light projection forms, that Rose shape shifted a functioning human female reproductive system centered around her actual gemstone. Which Greg then proceeds to impregnate.
But it’s whatevs. I’m a big Steven Universe fan. Free therapy. Never had a cartoon make me cry more than that show.